Results 21 to 30 of about 106,193 (320)
A probabilistic representation for the value of zero-sum differential games with incomplete information on both sides [PDF]
, 2017 We prove that for a class of zero-sum differential games with incomplete information on both sides, the value admits a probabilistic representation as the value of a zero-sum stochastic differential game with complete information, where both players ...
Gensbittel, Fabien, Rainer, Catherine
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REGULARITY AND SENSITIVITY FOR MCKEAN-VLASOV TYPE SPDEs GENERATED BY STABLE-LIKE PROCESSES
Проблемы анализа, 2018 In this paper we study the sensitivity of nonlinear stochastic differential equations of McKean–Vlasov type generated by stable-like processes. By using the method of stochastic characteristics, we transfer these equations to non-stochastic equations ...
V. N. Kolokoltsov, M. S. Troeva
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On modeling blockchain-enabled economic networks as stochastic dynamical systems
Applied Network Science, 2020 Blockchain networks have attracted tremendous attention for creating cryptocurrencies and decentralized economies built on peer-to-peer protocols. However, the complex nature of the dynamics and feedback mechanisms within these economic networks has ...
Zixuan Zhang +2 more
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Axioms, 2023 This paper discusses the multi-player non-cooperative game of nonlinear stochastic time-varying systems described by Itô-type differential equations in a finite time interval.
Xiangyun Lin +4 more
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Stochastic Differential Games in a Non-Markovian Setting [PDF]
, 2005 Stochastic differential games are considered in a non-Markovian setting. Typically, in stochastic differential games the modulating process of the diffusion equation describing the state flow is taken to be Markovian.
Bayraktar, Erhan, Poor, H. Vincent
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A Game—Theoretic Model for a Stochastic Linear Quadratic Tracking Problem
Axioms, 2023 In this paper, we solve a stochastic linear quadratic tracking problem. The controlled dynamical system is modeled by a system of linear Itô differential equations subject to jump Markov perturbations.
Vasile Drăgan +2 more
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Mean field games with common noise [PDF]
, 2015 A theory of existence and uniqueness is developed for general stochastic differential mean field games with common noise. The concepts of strong and weak solutions are introduced in analogy with the theory of stochastic differential equations, and ...
Carmona, Rene +2 more
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New numerical methods for mean field games with quadratic costs
Networks and Heterogeneous Media, 2012 Mean field games have been introduced by J.-M. Lasry and P.-L. Lions in [13, 14, 15] as the limit case of stochastic differential games when the number of players goes to $+\infty$. In the case of quadratic costs, we present two changes of variables that
Olivier Guéant
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Mathematics, 2022 In this paper, we consider the two-player state and control path-dependent stochastic zero-sum differential game. In our problem setup, the state process, which is controlled by the players, is dependent on (current and past) paths of state and control ...
Jun Moon
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Iterative strategies for solving linearized discrete mean field games systems
Networks and Heterogeneous Media, 2012 Mean fields games (MFG) describe the asymptotic behavior of stochastic differential games in which thenumber of players tends to $+\infty$. Under suitable assumptions,they lead to a new kind of system of two partial differential equations: a forward ...
Yves Achdou, Victor Perez
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